Similar Search Results

A variance reduction technique for American option pricing

Moreni, Nicola - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 292-295

In this paper we are interested in Monte Carlo pricing of American options via the Longstaff–Schwartz algorithm. In particular, we show that it is possible to obtain a variance reduction technique based on importance sampling by means of Girsanov theorem. The almost sure convergence of the...

Persistent link: https://www.econbiz.de/10010872936

Holliday, James R.; Turcotte, Donald L.; Rundle, John B. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 4, pp. 933-943

In this paper we propose a branching aftershock sequence (BASS) model for seismicity. We suggest that the BASS model is … ETAS. We also give a deterministic version of BASS and show that it satisfies Tokunaga side-branching statistics in a …

Persistent link: https://www.econbiz.de/10011060050

On the properties of random multiplicative measures with the multipliers exponentially distributed

Zhou, Wei-Xing; Yu, Zun-Hong - In: Physica A: Statistical Mechanics and its Applications 294 (2001) 3, pp. 273-282

multipliers exponentially distributed is investigated in detail. Branching emerges in the curve of generalized dimensions, and …

Persistent link: https://www.econbiz.de/10011061676

Monte Carlo simulation of electron dynamics in liquid water

Huthmacher, Klaus; Herzwurm, André; Gnewuch, Michael; … - In: Physica A: Statistical Mechanics and its Applications 429 (2015) C, pp. 242-251

We present a stochastic model for the energy loss of low-energy electrons (100 eV) in water in the liquid phase. More precisely, we treat the electrons as independent particles and are thus able to model the time evolution of the kinetic energy of a single electron as a so-called pure jump...

Persistent link: https://www.econbiz.de/10011264552

Evidence in support of seismic hazard following Poisson distribution

Wang, J.P.; Chang, Su-Chin - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 207-216

-probability algorithms currently employed, this study applied Monte Carlo Simulation (MCS) to obtain the probability function of seismic …

Persistent link: https://www.econbiz.de/10011194030

A Monte Carlo study of the spin-1 Blume–Emery–Griffiths phase diagrams within biquadratic exchange anisotropy

Dani, Ibtissam; Tahiri, Najim; Ez-Zahraouy, Hamid; … - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 295-302

–Emery–Griffiths model on simple-cubic lattice is investigated using mean field theory (MFT) and Monte Carlo simulation (MC). It is found …

Persistent link: https://www.econbiz.de/10010777060

Simulation of nonlinear interest rates in quantum finance: Libor Market Model

Baaquie, Belal E.; Tang, Pan - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1287-1308

The simulation of the Libor Market Model (LMM) is extensively studied in the framework of quantum finance. The … stochastic drift. The Libor options are studied using both the simulation method and the analytical formula. The caplet price of … simulation is compared with Black’s caplet formula which can be exactly derived from the LMM. The invariance of caplet price for …

Persistent link: https://www.econbiz.de/10010871886

Size and power properties of powerful unit root tests in the presence of variance breaks

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 317 (2003) 3, pp. 432-448

tests are examined in such circumstances. Simulation experiments are undertaken to permit a comparison of the behaviour of …

Persistent link: https://www.econbiz.de/10010872205

Penna model of biological aging on a lattice

Makowiec, Danuta - In: Physica A: Statistical Mechanics and its Applications 289 (2001) 1, pp. 208-222

The Penna bit-string model of biological aging is implemented on a square lattice. Hence, there is no need to manipulate the population size by the Verhulst factor. Instead, the spatial lattice relations between neighboring individuals are considered. Mortality obtained in the lattice asexual...

Persistent link: https://www.econbiz.de/10010872338

Configurational entropy of adsorbed rigid rods: Theory and Monte Carlo simulations

Centres, P.M.; Ramirez-Pastor, A.J. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 10, pp. 2001-2019

The configurational entropy of straight rigid rods of length k (k-mers) adsorbed on square, honeycomb, and triangular lattices is studied by combining theory and Monte Carlo (MC) simulations in grand canonical and canonical ensembles. Three theoretical models to treat k-mer adsorption on...

Persistent link: https://www.econbiz.de/10010872341